Related papers: Wiener integrals with respect to Yeh processes
In this article, we introduce Mittag-Leffler L\'evy process and provide two alternative representations of this process. First, in terms of Laplace transform of the marginal densities and next as a subordinated stochastic process. Both…
We consider integrable models, or in general any model defined by an $R$-matrix, on random surfaces, which are discretized using random Manhattan lattices. The set of random Manhattan lattices is defined as the set dual to the lattice…
The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a $\gamma$-H\"older continuous process with $\gamma>1/2$ (e.g. a fractional Brownian motion with Hurst parameter greater than…
First, sufficient conditions are given for a triangular array of random vectors such that the sequence of related random step functions converges towards a (not necessarily time homogeneous) diffusion process. These conditions are weaker…
In the present paper, a stochastic Taylor expansion of some functional applied to the solution process of an It\^o or Stratonovich stochastic differential equation with a multi-dimensional driving Wiener process is given. Therefore, the…
We define the Wigner distribution of a tempered generalized stochastic process that is complex-valued symmetric Gaussian. This gives a time-frequency generalized stochastic process defined on the phase space. We study its covariance and our…
For a general Multidimensional L\'{e}vy process (satisfying some moment conditions), we introduce the Multidimensional power jump processes and the related Multidimensional Teugels martingales. Furthermore, we orthogonalize the…
Recently, a new approach in the fine analysis of stochastic processes sample paths has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of…
We show that if a random variable is the final value of an adapted log-H\"{o}lder continuous process, then it can be represented as a stochastic integral with respect to a fractional Brownian motion with adapted integrand. In order to…
A class of stochastic processes, called "weak Dirichlet processes", is introduced and its properties are investigated in detail. This class is much larger than the class of Dirichlet processes. It is closed under C^1$-transformations and…
For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…
In this paper a quantum stochastic integral representation theorem is obtained for unbounded regular martingales with respect to multidimensional quantum noise. This simultaneously extends results of Parthasarathy and Sinha to unbounded…
The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initially on the processes that are "piecewise" predictable on a…
Integer counting processes increment of an integer value at transitions between states of an underlying Markov process. The generator of a counting process, which depends on a parameter conjugate to the increments, defines a complex…
We show that the centered discrete Hilbert transform on integers applied to a function can be written as the conditional expectation of a transform of stochastic integrals, where the stochastic processes considered have jump components. The…
The aim of this study is to clarify the consequences of recent theoretical results for the numerical computation of expectation by the shift method, and in particular to yield sufficient criteria for the existence of speed of convergence of…
For a series of Markov processes we prove stochastic duality relations with duality functions given by orthogonal polynomials. This means that expectations with respect to the original process (which evolves the variable of the orthogonal…
We use the martingale-theoretic approach of game-theoretic probability to incorporate imprecision into the study of randomness. In particular, we define a notion of computable randomness associated with interval, rather than precise,…
We consider the regularity of sample paths of Volterra processes. These processes are defined as stochastic integrals $$ M(t)=\int_{0}^{t}F(t,r)dX(r), \ \ t \in \mathds{R}_{+}, $$ where $X$ is a semimartingale and $F$ is a deterministic…
We look at the Stolarsky interspersions (such as the Wythoff array) one more time, this time using tools from automata theory. These tools allow easy verification of many of the published results on these arrays, as well as proofs of new…